MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY AND SUBSIDIARIES

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1 MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY AND SUBSIDIARIES CONDENSED CONSOLIDATED STATUTORY FINANCIAL STATEMENTS As of March 31, 2011 and December 31, 2010 and for the three months ended March 31, 2011 and 2010 and for the year ended December 31, 2010

2 Index to Condensed Consolidated Statutory Financial Statements Page Number Condensed Consolidated Statutory Statements of Financial Position...2 Condensed Consolidated Statutory Statements of Income (Loss)...3 Condensed Consolidated Statutory Statements of Changes in Surplus...4 Condensed Consolidated Statutory Statements of Cash Flows...5 Notes to Condensed Consolidated Statutory Financial Statements: 1. Nature of operations Summary of significant accounting policies New accounting standards Investments Fair value of financial instruments Fixed assets Deferred and uncollected life insurance premium Surplus notes Related party transactions Reinsurance Policyholders liabilities Debt Employee benefit plans Employee compensation plans Federal income taxes Transferable state tax credits Business risks, commitments and contingencies Withdrawal characteristics Presentation of the Condensed Consolidated Statutory Statements of Cash Flows Subsequent events...31

3 CONDENSED CONSOLIDATED STATUTORY STATEMENTS OF FINANCIAL POSITION Assets: March 31, December 31, $ Change % Change ($ In Millions) Bonds $ 54,765 $ 54,740 $ 25 - % Preferred stocks % Common stocks - subsidiaries and affiliates 2,986 2, % Common stocks - unaffiliated % Mortgage loans 12,448 12, % Policy loans 9,383 9, % Real estate 1,145 1,149 (4) - % Partnerships and limited liability companies 5,792 5, % Derivatives and other invested assets 2,558 2,821 (263) (9)% Cash, cash equivalents and short-term investments 1,993 1, % Total invested assets 91,704 90, % Investment income due and accrued (60) (10)% Deferred income taxes 1,429 1,546 (117) (8)% Other than invested assets (128) (14)% Total assets excluding separate accounts 94,429 93, % Separate account assets 49,156 47,285 1,871 4 % Total assets $ 143,585 $ 141,102 $ 2,483 2 % Liabilities and Surplus: Policyholders' reserves $ 69,860 $ 69,492 $ % Liabilities for deposit-type contracts 3,619 3, % Contract claims and other benefits % Policyholders' dividends 1,235 1, % General expenses due or accrued (110) (17)% Federal income taxes (43) (27)% Asset valuation reserve 1,515 1, % Securities sold under agreements to repurchase 4,033 4,163 (130) (3)% Commercial paper % Derivative collateral 1,181 1,433 (252) (18)% Other liabilities 1, % Total liabilities excluding separate accounts 83,869 83, % Separate account liabilities 49,143 47,272 1,871 4 % Total liabilities 133, ,750 2,262 2 % Surplus 10,573 10, % Total liabilities and surplus $ 143,585 $ 141,102 $ 2,483 2 % See notes to condensed consolidated statutory financial statements 2

4 Revenue: MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY AND SUBSIDIARIES CONDENSED CONSOLIDATED STATUTORY STATEMENTS OF INCOME (LOSS) Three Months Ended March 31, $ Change % Change ($ In Millions) Premium income $ 3,106 $ 2,808 $ % Net investment income 1,162 1, % Fees and other income % Total revenue 4,434 4, % Benefits and expenses: Policyholders' benefits 2,847 2,854 (7) - % Change in policyholders' reserves % General insurance expenses (12) (4)% Commissions % State taxes, licenses and fees % Total benefits and expenses 3,907 3, % Net gain (loss) from operations before dividends and federal income taxes % Dividends to policyholders (1) - % Net gain (loss) from operations before federal income taxes % Federal income tax expense (benefit) 17 (7) % Net gain (loss) from operations % Net realized capital gains (losses) after tax and transfers to interest maintenance reserve (46) (91) % Net income (loss) $ 182 $ 45 $ % See notes to condensed consolidated statutory financial statements 3

5 CONDENSED CONSOLIDATED STATUTORY STATEMENTS OF CHANGES IN SURPLUS Three Months Ended March 31, $ Change % Change ($ In Millions) Surplus, beginning of year $ 10,352 $ 9,259 $ 1, % Increase (decrease) due to: Net income (loss) % Change in net unrealized capital gains (losses), net of tax % Change in net unrealized foreign exchange capital gains (losses), net of tax 38 (13) % Change in net deferred income taxes (76) (81) 5 6 % Change in nonadmitted assets (276) (88)% Change in asset valuation reserve (56) (92) % Prior period adjustments (11) 23 (34) (148)% Aggregate write-ins for deferred income taxes (14) 55 (69) (125)% Other % Net increase (decrease) (112) (34)% Surplus, end of period $ 10,573 $ 9,592 $ % See notes to condensed consolidated statutory financial statements 4

6 CONDENSED CONSOLIDATED STATUTORY STATEMENTS OF CASH FLOWS Three Months Ended Year Ended March 31, December 31, Cash from operations: Premium and other income collected $ 3,317 $ 12,304 Net investment income 1,148 4,598 Benefit payments (2,818) (10,914) Net transfers from (to) separate accounts (212) 347 Commissions and other expenses (604) (2,105) Dividends paid to policyholders (276) (1,217) Federal and foreign income taxes recovered (paid) Net cash from operations 555 3,312 Cash from investments: Proceeds from investments sold, matured or repaid: Bonds 5,267 18,001 Common stocks - unaffiliated Mortgage loans 509 2,056 Real estate Partnerships Preferred and affiliated common stocks Other 64 (190) Total investment proceeds 6,141 21,646 Cost of investments acquired: Bonds (5,068) (21,551) Common stocks - unaffiliated (57) (55) Mortgage loans (777) (2,013) Real estate (53) (202) Partnerships (207) (1,435) Preferred and affiliated common stocks (115) (500) Other 215 (16) Total investments acquired (6,062) (25,772) Net (increase) decrease in policy loans (137) (475) Net cash from investments (58) (4,601) Cash from financing and other sources: Net deposits (withdrawals) on deposit-type contracts (30) 711 Net securities sold (bought) under agreements to repurchase (130) 424 Change in derivative collateral (251) (505) Other cash provided (applied) 317 (458) Net cash from financing and other sources (94) 172 Net change in cash, cash equivalents and short-term investments 403 (1,117) Cash, cash equivalents and short-term investments, beginning of year 1,590 2,707 Cash, cash equivalents and short-term investments, end of period $ 1,993 $ 1,590 See notes to condensed consolidated statutory financial statements 5

7 NOTES TO CONDENSED CONSOLIDATED STATUTORY FINANCIAL STATEMENTS 1. Nature of operations MassMutual Financial Group (MMFG) is comprised of Massachusetts Mutual Life Insurance Company (MassMutual) and its subsidiaries. MMFG is a global, diversified financial services organization providing life insurance, disability income insurance, long-term care insurance, annuities, retirement and income products, investment management, mutual funds and trust services to individual and institutional customers. MassMutual is organized as a mutual life insurance company. 2. Summary of significant accounting policies a. Basis of presentation The condensed consolidated statutory financial statements include the accounts of MassMutual and its wholly owned United States of America (U.S.) domiciled life insurance subsidiary (collectively, the Company): C.M. Life Insurance Company (C.M. Life), as well as its indirect subsidiary, MML Bay State Life Insurance Company (MML Bay State), which is wholly owned by C.M. Life. All intercompany transactions and balances for these consolidated entities have been eliminated. Other entities comprising MMFG are accounted for under the equity method in accordance with statutory accounting principles. Statutory financial statements filed with regulatory authorities are not presented on a consolidated basis. The condensed consolidated statutory financial statements and notes as of March 31, 2011, and for the three months ended March 31, 2011 and 2010 are unaudited. These condensed consolidated statutory financial statements reflect adjustments, consisting only of normal accruals, which are, in the opinion of management, necessary for the fair presentation of the financial position, results of operations and cash flows for the interim periods. These condensed consolidated statutory financial statements and notes should be read in conjunction with the consolidated statutory financial statements and notes thereto included in the Company s 2010 audited year end financial statements as these condensed consolidated statutory financial statements disclose only significant changes from year end The results of operations for the interim periods should not be considered indicative of results to be expected for the full year. The Condensed Consolidated Statutory Statements of Financial Position as of December 31, 2010 and the Condensed Consolidated Statutory Statements of Cash Flows for the year ended December 31, 2010 have been derived from the audited consolidated financial statements at that date, but do not include all of the information and footnotes required by statutory accounting practices for complete financial statements. The condensed consolidated statutory financial statements have been prepared in conformity with the statutory accounting practices of the National Association of Insurance Commissioners (NAIC) and the accounting practices prescribed or permitted by the Commonwealth of Massachusetts Division of Insurance (the Division); and for the wholly owned U.S. domiciled life insurance subsidiaries, the State of Connecticut Insurance Department. Statutory accounting practices are different in some respects from financial statements prepared in accordance with U.S. generally accepted accounting principles (GAAP). The more significant differences between statutory accounting principles and U.S. GAAP are as follows: (a) certain acquisition costs, such as commissions and other variable costs, that are directly related to acquiring new business are charged to current operations as incurred, whereas U.S. GAAP generally capitalizes these expenses and amortizes them based on profit emergence over the expected life of the policies or over the premium payment period; (b) statutory policy reserves are based upon prescribed methodologies, such as the Commissioners Reserve Valuation Method, Commissioners Annuity Reserve Valuation Method or net level premium method, and prescribed statutory mortality, morbidity and interest assumptions, whereas U.S. GAAP reserves would generally be based upon the net level premium method or the estimated gross margin method, with estimates of future mortality, morbidity, persistency and interest assumptions; (c) bonds are generally carried at amortized cost, whereas U.S. GAAP generally reports bonds at fair value; (d) changes in the balances of deferred income taxes, which provide for book versus tax temporary differences, are subject to limitation and are charged to surplus, whereas U.S. GAAP would generally include the change in deferred taxes in net income; (e) payments received for universal and variable life insurance products, certain variable and fixed deferred annuities and group annuity contracts are reported as premium income and change in reserves, whereas U.S. GAAP would treat these payments as deposits to policyholders account balances; (f) majority-owned noninsurance subsidiaries and variable interest entities where the Company is the primary beneficiary and certain 6

8 other controlled entities are accounted for using the equity method, whereas U.S. GAAP would consolidate these entities; (g) surplus notes are reported in surplus, whereas U.S. GAAP would report these notes as liabilities; (h) assets are reported at admitted asset value and nonadmitted assets are excluded through a charge against surplus, whereas U.S. GAAP records these assets net of any valuation allowance; (i) changes to the mortgage loan valuation allowance are recognized in net unrealized capital gains (losses) in surplus, whereas U.S. GAAP reports these changes in net realized capital gains (losses); (j) reinsurance reserve credits, unearned ceded premium and unpaid ceded claims are reported as a reduction of policyholders reserves or liabilities for deposit-type contracts whereas U.S. GAAP would report these balances as an asset; (k) an asset valuation reserve (AVR) is reported as a contingency reserve to stabilize surplus against fluctuations in the statement value of common stocks, real estate investments, partnerships and limited liability company(ies) (LLC) as well as credit-related declines in the value of bonds, mortgage loans and certain derivatives to the extent AVR is greater than zero for the appropriate asset category, whereas U.S. GAAP does not record this reserve; (l) after-tax realized capital gains and losses which result from changes in the overall level of interest rates for all types of fixed-income investments and interest-related hedging activities are deferred into the interest maintenance reserve(s) (IMR) and amortized into revenue, whereas U.S. GAAP reports these gains and losses as revenue; (m) changes in the fair value of derivative financial instruments are recorded as changes in surplus, whereas U.S. GAAP generally reports these changes as revenue unless deemed an effective hedge; (n) comprehensive income is not presented, whereas U.S. GAAP presents changes in unrealized capital gains and losses and foreign currency translations as other comprehensive income; (o) a prepaid asset and/or a liability is recorded for the difference between the fair value of the pension and other postretirement plan assets and the accumulated benefit obligation (which excludes nonvested employees) with the change recorded in surplus, whereas for U.S. GAAP purposes, the over/underfunded status of a plan, which is the difference between the fair value of the plan assets and the projected benefit obligation, is recorded as an asset or liability on the Condensed Consolidated Statutory Statements of Financial Position with the change recorded through accumulated other comprehensive income; (p) embedded derivatives are recorded as part of the underlying contract, whereas U.S. GAAP would identify and bifurcate certain embedded derivatives from the underlying contract or security and account for them separately at fair value; and (q) certain group annuity and variable universal life contracts, which do not pass-through all investment gains to contract holders, are maintained in the separate accounts and are presented on a single line in the statutory financial statements, whereas U.S. GAAP reports these contracts in the general investments of the company. The preparation of financial statements requires management to make estimates and assumptions that impact the reported amounts of assets and liabilities, the disclosure of assets and liabilities as of the date of the condensed consolidated statutory financial statements and the reported amounts of revenues and expenses during the reporting periods. The most significant estimates include those used in determining the carrying values of investments including the amount of mortgage loan investment valuation reserves, other-than-temporary impairment(s) (OTTI), the value of the investment in MassMutual Holding LLC (MMHLLC), the liabilities for future policyholders reserves, the determination of deferred tax asset(s) (DTA), the liability for taxes and litigation contingencies. Future events including, but not limited to, changes in the level of mortality, morbidity, interest rates, persistency, asset valuations and defaults could cause actual results to differ from the estimates used in the condensed consolidated statutory financial statements. Although some variability is inherent in these estimates, management believes the amounts presented are appropriate. For the full description of accounting policies, see Note 2 Summary of significant accounting policies of Notes to Consolidated Statutory Financial Statements included in MassMutual s 2010 audited consolidated year end financial statements. 7

9 b. Corrections of errors and reclassifications Under statutory accounting principles, corrections of prior year errors are recorded in current year surplus on a pretax basis with the associated tax impact reported separately through earnings. The following summarizes corrections of prior year errors for the three month period ended March 31, 2011: Correction Impact on of Prior Surplus Correction of Years' of Error Asset or Income Correction Liability Increase (Decrease) Increase (Decrease) Balances Partnerships and LLCs $ (5) $ (5) $ 5 Policyholders' reserves (4) (4) 4 Other (2) (2) 2 Total $ (11) $ (11) $ 11 As a result of the net activity above, the Company recorded, in the Condensed Consolidated Statutory Statements of Changes in Surplus for the three month period ended March 31, 2011, a net decrease of $11 million through prior period adjustments and an associated tax benefit of $4 million reported in the Condensed Consolidated Statutory Statements of Income (Loss). The following summarizes corrections of prior year errors for the three month period ended March 31, 2010: Correction Impact on of Prior Surplus Correction of Years' of Error Asset or Income Correction Liability Increase (Decrease) Increase (Decrease) Balances Policyholders' reserves $ 25 $ 25 $ (25) Commissions 1 1 (1) Reinsurance (3) (3) 3 Total $ 23 $ 23 $ (23) As a result of the net activity above, the Company recorded, in the Condensed Consolidated Statutory Statements of Changes in Surplus for the three month period ended March 31, 2010, a net increase of $23 million through prior period adjustments and an associated tax expense of $8 million reported in the Condensed Consolidated Statutory Statements of Income (Loss). Certain 2010 balances within these financial statements have been reclassified to conform to the current year presentation. 8

10 3. New accounting standards a. Adoption of new accounting standards In June 2010, the NAIC clarified its intent on bifurcation of all realized gains and losses on sales of loan-backed and structured securities. This new guidance requires a cash flow analysis at the date of sale to bifurcate the realized gain or loss between credit and noncredit. The credit portion is recognized in the AVR and the noncredit portion is deferred to the IMR. This guidance was issued as a revision to Statement of Statutory Accounting Principles (SSAP) No. 43R, Loan-backed and Structured Securities, and was effective January 1, The adoption of this guidance did not have a significant impact on the Company s financial statements. In October 2010, the NAIC modified the definitions of loan-backed and structured securities included in SSAP No. 43R. The revised definition expands the requirement to include any securitized asset where the underlying cash flows are from all types of asset pools and not just those emanating from either mortgages or securities. Regardless of the underlying collateral, each security structured through a special purpose entity, trust or LLC is expected to be reported as a SSAP No. 43R security, not as an issuer obligation under SSAP No. 26, Bonds, excluding Loanbacked and Structured Securities. This guidance was effective January 1, The adoption of this guidance did not have a significant impact on the Company s financial statements. In October 2010, the NAIC revised guidance pertaining to disclosure of withdrawal characteristics. These revisions expand the disclosure requirements for annuity actuarial reserves and deposit liabilities by withdrawal characteristics in accordance with the following categories: general account, separate account with guarantees, separate account nonguaranteed and the total. This guidance was issued as SSAP No. 51, Life Contracts, SSAP No. 52, Deposit- Type Contracts and SSAP No. 61, Life, Deposit-Type and Accident and Health Reinsurance and was effective January 1, The impact of this new guidance expands year end annuity disclosures and the Company plans to implement these additional disclosures as of December 31, In October 2010, the NAIC revised existing guidance pertaining to liabilities, contingencies and impairments of assets. Such revisions require reporting entities to recognize, at the inception of a guarantee, a liability for the obligations it has undertaken in issuing the guarantee, even if the likelihood of having to make payments under the guarantee is remote. This includes related party guarantees, except when the transaction is considered an unlimited guarantee, such as a rating agency requirement to provide a commitment to support a subsidiary, or a guarantee made on behalf of a wholly owned subsidiary. New disclosures require a listing of all guarantees, the carrying amount of the liability, maximum exposure and any recourse provisions. This guidance was issued as SSAP No. 5R, Liabilities, Contingencies and Impairments of Assets, and applies to all guarantees issued and outstanding as of December 31, The Company is in the process of assessing the impact of this new guidance. b. Future adoption of new accounting standards In March 2011, the NAIC adopted revisions to SSAP No. 100, Fair Value Measurements, which requires additional fair value disclosures. These additional disclosures include a disclosure of the fair value hierarchy of items that are disclosed with a fair value measurement but are not valued at fair value in the balance sheet. Also, companies will be required to disclose purchases, sales, issuances and settlements on a gross basis in the Level 3 rollforward disclosure. These new requirements are effective January 1, The Company currently discloses a gross presentation within the Level 3 rollforward disclosure. The adoption of the other requirements of this guidance is not expected to have a significant impact on the Company. 9

11 4. Investments The Company maintains a diversified investment portfolio. Investment policies limit concentration in any asset class, geographic region, industry group, economic characteristic, investment quality or individual investment. a. Bonds The carrying value and fair value of bonds were as follows: March 31, 2011 Gross Gross Carrying Unrealized Unrealized Fair Value Gains Losses Value U. S. government and agencies $ 9,124 $ 455 $ 543 $ 9,036 All other governments States, territories and possessions 1, ,504 Special revenue 1, ,137 Industrial and miscellaneous 36,405 2, ,698 Credit tenant loans Parent, subsidiaries and affiliates 5, ,721 Total $ 54,765 $ 3,218 $ 1,639 $ 56,344 Note: The unrealized loss column does not include $57 million in unrealized losses which are embedded in the carrying value column. These unrealized losses embedded in the carrying value column include $46 million from NAIC Category 6 bonds and $11 million reclassified from NAIC Category 6 for RMBS and CMBS with ratings obtained from outside modelers. December 31, 2010 Gross Gross Carrying Unrealized Unrealized Fair Value Gains Losses Value U. S. government and agencies $ 9,269 $ 592 $ 496 $ 9,365 All other governments States, territories and possessions 1, ,458 Special revenue 2, ,211 Industrial and miscellaneous 36,428 2, ,694 Credit tenant loans Parent, subsidiaries and affiliates 5, ,261 Total $ 54,740 $ 3,314 $ 1,813 $ 56,241 Note: The unrealized loss column does not include $66 million in unrealized losses which are embedded in the carrying value column. These unrealized losses embedded in the carrying value column include $58 million from NAIC Category 6 bonds and $8 million reclassified from NAIC Category 6 for RMBS and CMBS with ratings obtained from outside modelers. 10

12 The following is an analysis of the fair values and gross unrealized losses aggregated by bond category and length of time that the securities were in a continuous unrealized loss position as of March 31, 2011 and December 31, 2010: March 31, 2011 Less Than 12 Months 12 Months or Longer Number Number Fair Unrealized of Fair Unrealized of Value Losses Issuers Value Losses Issuers ($ In Millions) U. S. government and agencies $ 18 $ 1 5 $ 1,880 $ States, territories and possessions Special revenue Industrial and miscellaneous 6, , Parent, subsidiaries and affiliates Total $ 7,560 $ $ 6,487 $ 1, Note: The unrealized losses in this table include $57 million of losses embedded in the carrying value. These unrealized losses include $46 million from NAIC Category 6 bonds and $11 million reclassified from NAIC Category 6 for RMBS and CMBS with ratings obtained from outside modelers. December 31, 2010 Less Than 12 Months 12 Months or Longer Number Number Fair Unrealized of Fair Unrealized of Value Losses Issuers Value Losses Issuers ($ In Millions) U. S. government and agencies $ 53 $ 1 4 $ 1,930 $ States, territories and possessions Special revenue Industrial and miscellaneous 5, , Parent, subsidiaries and affiliates 2, Total $ 8,848 $ $ 6,441 $ 1, Note: The unrealized losses in this table include $66 million of losses embedded in the carrying value. These unrealized losses include $58 million from NAIC Category 6 bonds and $8 million reclassified from NAIC Category 6 for RMBS and CMBS with ratings obtained from outside modelers. For industrial and miscellaneous, the decrease in unrealized losses for the 12 months or longer category is due to market recovery, reduction due to OTTI and sales. The majority of the unrealized losses are due to the decline in the credit markets, liquidity and other uncertainties that are reflected in current market values. These factors continue to impact the value of residential mortgage-backed securities (RMBS), leveraged loans and commercial mortgagebacked securities (CMBS). Deterioration of underlying collateral, downgrades of credit ratings or other factors may lead to further declines in value. As of March 31, 2011, investments in structured and loan-backed securities for which OTTI had not been recognized in earnings and which were in an unrealized loss position had a fair value of $4,051 million. Structured and loan-backed securities in an unrealized loss position for less than 12 months had a fair value of $1,688 million and unrealized losses of $76 million. Structured and loan-backed securities in an unrealized loss position greater than 12 months had a fair value of $2,363 million and unrealized losses of $441 million. These structured and loanbacked securities were primarily categorized as industrial and miscellaneous and U.S. government and agency securities. 11

13 Based on the Company s policies, as of March 31, 2011 and December 31, 2010, the Company has not deemed these investments to be other-than-temporarily impaired because the carrying value of the investments is expected to be realized based on our analysis of fair value or, for loan-backed and structured securities, based on present value of cash flows, and the Company has the ability and intent not to sell these investments until recovery, which may be maturity. In the course of the Company s asset management, securities may be sold and repurchased within 30 days of the sale date to enhance the Company s yield on its investment portfolio. The Company did not sell any securities at a loss or in a loss position with the NAIC s Designation 3 or below for the period ended March 31, 2011 or the year ended December 31, 2010 that were reacquired within 30 days of the sale date. Residential mortgage-backed exposure RMBS are included in the U.S. government, special revenue and industrial and miscellaneous bond categories. The Alt-A category includes option adjustable rate mortgages, and the subprime category includes scratch and dent or reperforming pools, high loan-to-value pools, and pools where the borrowers have very impaired credit but the average loan-to-value is low, typically 70% or below. In identifying Alt-A and subprime exposure, management used a combination of qualitative and quantitative factors, including FICO scores and loan-to-value ratios. For the past few years, market conditions for Alt-A and subprime investments have been unusually weak due to higher delinquencies, reduced home prices, and reduced refinancing opportunities. This market turbulence has spread to other credit markets. It is unclear how long it will take for a return to conditions in effect prior to that time. b. Common stocks - subsidiaries and affiliates On March 25, 2010, MassMutual and MMHLLC completed an equity for debt swap. MMHLLC swapped $500 million of MassMutual s contributed capital for $500 million of additional notes payable to MassMutual. No cash was distributed by MMHLLC. Legal matters at the Company s subsidiaries, to the extent they develop adversely, may have a negative impact on the Company s investment in MMHLLC. OppenheimerFunds, Inc. (OFI), an indirect subsidiary of MMHLLC, has concluded settlements with six states - Illinois, Oregon, Texas, Nebraska, Maine and New Mexico, regarding investigations of the management of those states' Section 529 college savings plans. However, with respect to New Mexico, two lawsuits have been filed in the Circuit Court for Santa Fe County, New Mexico seeking to challenge the settlement. No reasonable estimate can be made at this time regarding the potential liability, if any, or the amount or range of any loss that may result from this claim. In April 2010, a lawsuit was filed in New York state court against OFI, its subsidiary HarbourView Asset Management Corporation (HVAMC) and AAArdvark IV Funding Limited in connection with the investment made by TSL (USA) Inc., an affiliate of National Australia Bank Limited in AAArdvark IV. The complaint alleges breach of contract, breach of the covenant of good faith and fair dealing, gross negligence, unjust enrichment and conversion. The complaint seeks compensatory and punitive damages, along with attorney fees. The Court has dismissed certain equitable claims against OFI and HVAMC, leaving only the claims for breach of contract. Plaintiffs have filed an amended complaint with additional contractual claims. No reasonable estimate can be made at this time regarding the potential liability, if any, or the amount or range of any loss that may result from this claim. 12

14 Two derivative actions on behalf of two Oppenheimer Acquisition Corp. (OAC) funds were filed in the federal district court in Colorado in March 2010 alleging that as a matter of law, asset-based payments made under each Fund s Rule 12b-1 Distribution and Service Plan or by OppenheimerFunds Distributor, Inc. (OFDI) to broker dealers that are not registered as investment advisers are impermissible under the Investment Advisers Act of 1940 and that such payments violate the provisions of the Investment Company Act of In September 2010, the court granted defendants' motion to transfer venue to the U.S. District Court for the Southern District of New York. Motions to dismiss both suits have been filed by the defendants. No reasonable estimate can be made at this time regarding the potential liability, if any, or the amount or range of any loss that may result from this claim. In 2009, several lawsuits were filed against OFI, and other parties in various federal courts, as putative class actions and derivative claims in connection with the investment performance of Oppenheimer Core Bond Fund (Core Bond Fund) and Oppenheimer Champion Income Fund (Champion Income Fund) distributed and advised by OAC subsidiaries, indirect subsidiaries of MMHLLC. The lawsuits raise claims under federal securities laws alleging that, among other things, the disclosure documents of these funds contained misrepresentations and omissions, that the investment policies of these funds were not followed and that these funds and other defendants violated federal securities laws and regulations and certain state laws. The Core Bond Fund and Champion Income Fund putative class action claims have been consolidated into two groups, one for each of the funds, and are currently pending in federal district court in Colorado. Accruals, representing the amount that management believes are sufficient to cover these matters and an offsetting insurance recovery, were established in the 2010 financial statements of the Company s subsidiary. Beyond these matters, MMHLLC s subsidiaries are involved in litigation and investigations arising in the ordinary course of the subsidiaries businesses. While the Company is not aware of any actions or allegations that should reasonably give rise to a material adverse impact to the Company s financial position or liquidity, because of the uncertainties involved with some of these matters, future revisions to the estimates of the potential liability could materially affect the Company s financial position. c. Mortgage loans Mortgage loans are comprised of commercial mortgage loans and residential mortgage loan pools. The carrying value of mortgage loans was $12,448 million, net of valuation allowances of $102 million as of March 31, The carrying value of mortgage loans was $12,166 million, net of valuation allowances of $140 million as of December 31, Residential mortgage loan pools are pools of homogeneous residential mortgage loans substantially backed by Federal Housing Administration (FHA) and Veterans Administration (VA) guarantees. The Company purchases seasoned loan pools, most of which are FHA insured or VA guaranteed. 13

15 The amortized cost, carrying value and fair value of the Company s mortgage loans were as follows: March 31, 2011 Amortized Carrying Fair Cost Value Value Commercial mortgage loans Primary lender $ 9,917 $ 9,968 $ 10,088 Mezzanine loans Total commercial mortgage loans 9,982 10,001 10,120 Residential mortgage loans FHA and VA guaranteed 2,421 2,421 2,322 Other residential loans Total residential mortgage loans 2,447 2,447 2,348 Total mortgage loans $ 12,429 $ 12,448 $ 12,468 December 31, 2010 Amortized Carrying Fair Cost Value Value Commercial mortgage loans Primary lender $ 9,557 $ 9,583 $ 9,723 Mezzanine loans Total commercial mortgage loans 9,688 9,653 9,792 Residential mortgage loans FHA and VA guaranteed 2,485 2,485 2,392 Other residential loans Total residential mortgage loans 2,513 2,513 2,420 Total mortgage loans $ 12,201 $ 12,166 $ 12,212 The following table presents an analysis of the Company s commercial mortgage loans on which a valuation allowance was recorded: Carrying Value Average Carrying Value March 31, 2011 Unpaid Principal Balance Valuation Allowance Interest Income Commercial mortgage loans Primary lender $ 571 $ 569 $ 642 $ (71) $ 11 Mezzanine loans (31) - Total $ 575 $ 576 $ 679 $ (102) $ 11 Note: AsofMarch 31, 2011, the Company did not hold any residential mortgage loan pools with a valuation allowance recorded. All mortgage loans included in the table above were individually valued for impairment. 14

16 Carrying Value Average Carrying Value December 31, 2010 Unpaid Principal Balance Valuation Allowance Interest Income Commercial mortgage loans Primary lender $ 586 $ 591 $ 666 $ (79) $ 38 Mezzanine loans (61) 2 Total $ 612 $ 620 $ 755 $ (140) $ 40 Note: AsofDecember 31, 2010, the Company did not hold any residential mortgage loan pools with a valuation allowance recorded. All mortgage loans included in the table above were individually valued for impairment. The Company had $41 million and $19 million of unpaid principal balance in impaired commercial mortgage loans with no related valuation allowance recorded as of March 31, 2011 and December 31, 2010, respectively. The following table represents the valuation allowance recorded for the Company s mortgage loans: March 31, 2011 December 31, 2010 Commercial Primary Lender Mezzanine Total Primary Lender Mezzanine Total Beginning balance $ (79) $ (61) $ (140) $ (133) $ (58) $ (191) Additions (1) (8) (9) (31) (9) (40) Decreases Write-downs Ending balance $ (71) $ (31) $ (102) $ (79) $ (61) $ (140) The change in the valuation allowance is recorded in change in net unrealized capital gains (losses) in the Condensed Statutory Statements of Changes in Surplus. 15

17 d. Net investment income Net investment income was derived from the following sources: Three Months Ended March 31, Bonds $ 712 $ 641 Preferred stocks 3 1 Common stocks - subsidiaries and affiliates 2 - Common stocks - unaffiliated 1 1 Mortgage loans Policy loans Real estate Partnerships and LLCs Derivatives Cash, cash equivalents and short-term investments 2 2 Other - 1 Subtotal investment income 1,220 1,105 Amortization of the IMR Investment expenses (89) (87) Net investment income $ 1,162 $ 1,034 e. Net realized capital gains and losses Net realized capital gains (losses) including OTTI were comprised of the following: Three Months Ended March 31, Bonds $ 39 $ (78) Common stocks - subsidiaries and affiliates 1 2 Common stocks - unaffiliated 1 1 Mortgage loans (40) (10) Real estate 1 68 Partnerships and LLCs (14) (28) Derivatives and other (105) 23 Federal and state taxes 61 (20) Net realized capital gains (losses) before deferral to the IMR (56) (42) Net (gains) losses deferred to the IMR (3) (57) Taxes 13 8 Net after tax (gains) losses deferred to the IMR 10 (49) Net realized capital gains (losses) $ (46) $ (91) 16

18 Portions of realized capital gains and losses, which were determined to be interest related, were deferred into the IMR. The IMR balance was a liability of $35 million and nonadmitted asset of $61 million as of March 31, The IMR balance was a liability of $76 million and nonadmitted asset of $54 million as of December 31, Since the IMR is not calculated on a consolidated basis and an IMR asset must be nonadmitted, there is no netting of liabilities and assets between MassMutual and its subsidiaries which contribute to the consolidation. OTTI which are included in the net realized capital gains (losses) above consisted of the following: Three Months Ended March 31, Bonds $ (35) $ (88) Common stock (1) (2) Mortgage loans (41) - Partnerships and LLCs (1) (28) Total OTTI $ (78) $ (118) f. Derivative financial instruments The Company uses derivative financial instruments in the normal course of business to manage risks, primarily to reduce interest rate and duration imbalances determined in asset/liability analyses. The Company also uses a combination of derivatives and fixed income investments to create synthetic investment positions. These combined investments are created opportunistically when they are economically more attractive than the simulated instrument or when the simulated instruments are unavailable. Synthetic assets can be created to either hedge and reduce the Company's exposure or increase the Company's exposure to a particular asset. The Company held synthetic assets which increased the Company's exposure to $2,233 million as of March 31, 2011 and $2,301 million as of December 31, Of this amount, $294 million as of March 31, 2011 and $362 million as of December 31, 2010, were considered replicated asset transactions as defined under statutory accounting principles as the pairing of a long derivative contract with a cash instrument held. The Company s derivative strategy employs a variety of derivative financial instruments, including interest rate swaps, currency swaps, equity and credit default swaps, options, interest rate caps and floors, forward contracts and financial futures. Investment risk is assessed on a portfolio basis and individual derivative financial instruments are not designated in hedging relationships; therefore, as allowed by accounting rules, the Company specifically and intentionally made the decision not to apply hedge accounting. 17

19 The Company s principal derivative market risk exposures are interest rate risk, which includes the impact of inflation and credit risk. Interest rate risk pertains to the change in fair value of the derivative instruments as market interest rates move. The Company is exposed to credit-related losses in the event of nonperformance by counterparties to derivative financial instruments. In order to minimize credit risk, the Company and its derivative counterparties require collateral to be posted in the amount owed under each transaction, subject to threshold and minimum transfer amounts that are functions of the rating on the counterparty s long-term, unsecured, unsubordinated debt. Additionally, in many instances, the Company enters into agreements with counterparties that allow for contracts in a positive position, where the Company is due amounts, to be offset by contracts in a negative position. This right of offset, combined with collateral obtained from counterparties, reduces the Company s exposure. Collateral pledged by the counterparties was $1,837 million as of March 31, 2011 and $2,182 million as of December 31, In the event of default the full market value exposure at risk in a net gain position, net of offsets and collateral was $53 million as of March 31, 2011 and $30 million as of December 31, The amount at risk using NAIC prescribed rules was $412 million as of March 31, 2011 and $314 million as of December 31, Negative values in the carrying value of a particular derivative category can result from a counterparty s right to offset positions in multiple derivative financial instruments. The Company regularly monitors counterparty credit ratings and exposures, derivative positions and valuations and the value of collateral posted to ensure counterparties are credit-worthy and the concentration of exposure is minimized. The Company monitors this exposure as part of its management of the Company s overall credit exposures. Credit default swaps involve a transfer of the credit risk of fixed income instruments from one party to another in exchange for periodic premium payments. The buyer of the credit default swap receives credit protection, whereas the seller of the swap guarantees the credit worthiness of the underlying security. This transfers the risk of default from the buyer of the swap to the seller. If a specified credit event occurs, as defined by the agreement, the seller is obligated to pay the counterparty the contractually agreed upon amount and receives in return the underlying security in an amount equal to the notional value of the credit default swap. A credit event is generally defined as default on contractually obligated interest or principal payments or bankruptcy. The Company does not write credit default swaps as a participant in the credit insurance market but does sell swaps to generate returns consistent with bond returns when the actual bond is not available or the market price is more expensive. The Company uses credit default swaps to either reduce exposure to particular issuers by buying protection or increase exposure to issuers by selling protection against specified credit events. The Company buys protection as an efficient means to reduce credit exposure to particular issuers or sectors in the Company s investment portfolio. The Company sells protection to enhance the return on its investment portfolio by providing comparable exposure to fixed income securities that might not be available in the primary market or to enter into synthetic transactions by buying a high quality liquid bond to match against the credit default swap. The following tables summarize the carrying values and notional amounts of the Company s derivative financial instruments: March 31, 2011 Assets Liabilities Carrying Notional Carrying Notional Value Amount Value Amount Interest rate swaps $ 2,124 $ 62,792 $ 151 $ 7,992 Currency swaps 83 1, Options 217 4,873 (47) 1,036 Asset and credit default swaps 24 1, Forward contracts (36) 3, Financial futures - short positions Financial futures - long positions - 3, Total $ 2,412 $ 77,608 $ 235 $ 10,302 18

20 December 31, 2010 Assets Liabilities Carrying Notional Carrying Notional Value Amount Value Amount Interest rate swaps $ 2,130 $ 57,239 $ 158 $ 6,992 Currency swaps 92 1, Options 274 6,092 (50) 732 Asset and credit default swaps 27 1, Forward contracts 13 1,646 (9) 1,792 Financial futures - short positions Financial futures - long positions - 2, Total $ 2,536 $ 71,093 $ 174 $ 10,173 In most cases, the notionals are not a measure of the Company s credit exposure, the exceptions to this rule are mortgage-backed forwards and credit default swaps that sell protection. In the event of default, the Company is fully exposed to the notionals of both of these types of derivatives. Collateral is exchanged for all derivative types except mortgage-backed forwards. For all other contracts, the amounts exchanged are calculated on the basis of the notional amounts and the other terms of the instruments, which relate to interest rates, exchange rates, security prices or financial or other indices. The following tables summarize the Company s net realized gains (losses) on closed contracts and change in net unrealized gains (losses) on the mark to market of open contracts by derivative type: March 31, 2011 March 31, 2010 Change In Net Change In Net Net Realized Unrealized Gains Net Realized Unrealized Gains Gains (Losses) (Losses) Gains (Losses) (Losses) Closed Mark-to-Market Closed Mark-to-Market Contracts Open Contracts Contracts Open Contracts Interest rate swaps $ (12) $ 1 $ 2 $ (7) Currency swaps (3) (35) (3) 7 Options (52) (29) 12 (114) Asset, equity and credit default swaps 2 (4) - (8) Forward contracts 17 (89) Financial futures - long positions (30) Financial futures - short positions (25) - (48) - Total $ (103) $ (156) $ 23 $ (81) 19

21 5. Fair value of financial instruments The following fair value disclosure summarizes the Company s financial instruments: March 31, 2011 December 31, 2010 Carrying Fair Carrying Fair Value Value Value Value Financial assets: Bonds U. S. government and agencies $ 9,124 $ 9,036 $ 9,269 $ 9,365 All other governments States, territories and possessions 1,510 1,504 1,474 1,458 Special revenue 1,981 2,137 2,046 2,211 Industrial and miscellaneous 36,405 37,698 36,428 37,694 Credit tenant loans Parent, subsidiaries and affiliates 5,534 5,721 5,311 5,261 Preferred stocks Common stock - unaffiliated Common stock - affiliated (1) Mortgage loans - commerical 10,001 10,120 9,653 9,792 Mortgage loans - residential 2,447 2,348 2,513 2,420 Cash, cash equivalents and short-term investments 1,993 1,993 1,590 1,590 Derivatives Forward contracts (36) (36) Interest rate swaps 2,124 2,124 2,130 2,130 Currency swaps Asset and credit default swaps Options Financial liabilities: Commercial paper Securities sold under agreements to repurchase 4,033 4,033 4,163 4,163 Funding agreements 2,319 2,396 2,299 2,373 Investment-type insurance contracts: Group annuity investment contracts 6,735 7,245 6,787 7,275 Individual annuity investment contracts 7,308 7,448 7,303 7,514 Guaranteed investment contracts Supplementary investment contracts 1,039 1,040 1,045 1,045 (1) Common stocks - affiliated does not include MMHLLC which had a statutory carrying value of $2,572 million as of March 31, 2011 and $2,502 million as of December 31, Also excluded is C.M. Life which had a statutory carrying value of $863 million as of March 31, 2011 and $837 million as of December 31,

22 March 31, 2011 December 31, 2010 Carrying Fair Carrying Fair Value Value Value Value Financial liabilities (continued): Derivatives Forward contracts $ 31 $ 31 $ (9) $ (9) Interest rate swaps Currency swaps Options (47) (47) (50) (50) The use of different assumptions or valuation methodologies may have a material impact on the estimated fair value amounts. Level 3 bonds were 28.6% of the total fair value of bonds as of March 31, 2011 and 27.2% as of December 31, The average fair value of outstanding derivative financial instrument assets over the course of the year was $2,474 million as of March 31, 2011 and $2,536 million as of December 31, The average fair value of outstanding derivative financial instrument liabilities over the course of the year was $205 million as of March 31, 2011 and $150 million as of December 31, Fair value hierarchy For the period ended March 31, 2011, there were no significant changes to the Company s valuation techniques. 21

23 The following tables present the Company s fair value hierarchy for financial instruments which are carried at fair value: March 31, 2011 Level 1 Level 2 Level 3 Netting (1) Total Financial assets: Bonds Industrial and miscellaneous $ - $ 21 $ 24 $ - $ 45 Parent, subsidiaries and affiliates Common stock - unaffiliated Common stock - affiliated (2) Cash equivalents and short-term investments (3) - 1, ,740 Separate account assets (4) 37,062 9, ,221 Derivatives - Forward contracts (55) (36) Interest rate swaps - 3,584 - (1,460) 2,124 Currency swaps (75) 83 Asset and credit default swaps (12) 24 Options (61) 217 Total financial assets carried at fair value $ 37,142 $ 16,099 $ 590 $ (1,663) $ 52,168 Financial liabilities: Derivatives Forward contracts $ - $ 86 $ - $ (55) $ 31 Interest rate swaps - 1,607 4 (1,460) 151 Currency swaps (75) 100 Asset and credit default swaps (12) - Options (61) (47) Total financial liabilities carried at fair value $ - $ 1,894 $ 4 $ (1,663) $ 235 (1) (2) (3) (4) Netting adjustments represent offsetting positions that may exist under a master-netting agreement with a counterparty where amounts due from the counterparty are offset against amounts due to the counterparty. Common stocks affiliated does not include MMHLLC which had a statutory carrying value of $2,572 million and C.M. Life which had a statuory carrying value of $863 million. Does not include cash of $253 million. $1,243 million of book value separate account assets and $692 million of market value separate account assets are not carried at fair value and therefore, not included in this table. 22

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